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Fat-tailed models for risk estimation

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  • Stoyanov, Stoyan V.
  • Rachev, Svetlozar T.
  • Racheva-Iotova, Boryana
  • Fabozzi, Frank J.

Abstract

In the post-crisis era, financial institutions seem to be more aware of the risks posed by extreme events. Even though there are attempts to adapt methodologies drawing from the vast academic literature on the topic, there is also skepticism that fat-tailed models are needed. In this paper, we address the common criticism and discuss three popular methods for extreme risk modeling based on full distribution modeling and and extreme value theory. --

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Bibliographic Info

Paper provided by Karlsruhe Institute of Technology (KIT), Department of Economics and Business Engineering in its series Working Paper Series in Economics with number 30.

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Date of creation: 2011
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Handle: RePEc:zbw:kitwps:30

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Web page: http://www.wiwi.kit.edu/
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  1. Kim, Young Shin & Rachev, Svetlozar T. & Bianchi, Michele Leonardo & Fabozzi, Frank J., 2011. "Tempered stable and tempered infinitely divisible GARCH models," Working Paper Series in Economics 28, Karlsruhe Institute of Technology (KIT), Department of Economics and Business Engineering.
  2. Stoyanov, Stoyan V. & Rachev, Svetlozar T. & Fabozzi, Frank J., 2011. "CVaR sensitivity with respect to tail thickness," Working Paper Series in Economics 29, Karlsruhe Institute of Technology (KIT), Department of Economics and Business Engineering.
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Cited by:
  1. Meyborg, Mirja, 2011. "The impact of West-German universities on regional innovation activities: A social network analysis," Working Paper Series in Economics 35, Karlsruhe Institute of Technology (KIT), Department of Economics and Business Engineering.
  2. Berninghaus, Siegfried K. & Todorova, Lora & Vogt, Bodo, 2011. "A simple questionnaire can change everything: Are strategy choices in coordination games stable?," Working Paper Series in Economics 37, Karlsruhe Institute of Technology (KIT), Department of Economics and Business Engineering.
  3. Schosser, Stephan & Vogt, Bodo, 2011. "The public loss game: An experimental study of public bads," Working Paper Series in Economics 33, Karlsruhe Institute of Technology (KIT), Department of Economics and Business Engineering.
  4. Schaffer, Axel, 2011. "Appropriate policy measures to attract private capital in consideration of regional efficiency in using infrastructure and human capital," Working Paper Series in Economics 31, Karlsruhe Institute of Technology (KIT), Department of Economics and Business Engineering.

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